These days, I strongly recommend the only legitimate and really good setup tool, first Microsoft Open-Source project: WiX Toolset:
http://en.wikipedia.org/wiki/WiX[
^],
http://wixtoolset.org/[
^].
Not only it is open-source, this is the project fully compliant with MSBuild project standard. It's generally very good and and provides good Visual Studio integration.
—SA